开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

CFA随便过 · 2024年08月06日

这题有点疑问,active share高不一定代表active risk高吧。哪怕只有60只,也可能和Benchmark关联高吧

NO.PZ2023010903000066

问题如下:

Before hiring Välimaa, the Missipina Foundation’s portfolio had been managed internally.

Välimaa reviews a memo from Missipina’s investment committee that summarizes the previous internal manager’s approach to portfolio construction:

“The manager used a growth at a reasonable price (GARP) investment approach to identify attractively priced stocks. He emphasized understanding a firm’s governance structure, management quality, business model/competitive landscape, and environmental, social, and governance (ESG)-related attributes. The portfolio generally held less than 60 stocks, significantly less than the number of stocks in the benchmark and the portfolio was not well diversified.”

Determine, based solely on the memo’s content, whether the former manager’s portfolio would most likely be characterized as having high or low:

i. Active risk

ii. Active Share

Justify each response.

选项:

解释:


如题,请老师指导。

1 个答案
已采纳答案

笛子_品职助教 · 2024年08月07日

嗨,爱思考的PZer你好:


Hello,亲爱的同学~

这里需先理解一下active risk来源的知识点。


根据这一页的内容,active risk有两个来源。

来源一:portfolio与benchmark在factor上的差异。

来源二:portfolio与benchmark在active share上的差异。见红框。

(factor nuetral的含义是factor无差异,此时active risk全部来自active share)


在理解以上知识点后,我们看本问题。

active share高不一定代表active risk高吧。哪怕只有60只,也可能和Benchmark关联高吧

同学这里考虑了active share,也考虑了关联。

这正是active risk的两个来源。

当active share大,但portfolio与benchmark在factor无差异,确实会导致active risk低。

同学理解正确。


但本题讨论的是,active risk的两个来源,以及各自对active risk的影响。

在factor因素相同的时候,单独增加active share,会增加active risk。

举例来说,关联度是一样的,factor neutral。

那么,portfolio1 有100只股票。portfolio2只有60只股票,则portfolio2的active share高,会增加portfolio2的active risk。


----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 1

    回答
  • 0

    关注
  • 151

    浏览
相关问题

NO.PZ2023010903000066 问题如下 Before hiring Välimathe Missipina Fountion’s portfolio hbeen manageinternally.Välimreviews a memo from Missipina’s investment committee thsummarizes the previous internmanager’s approato portfolio construction:“The manager usea growth a reasonable pri(GARP) investment approato intify attractively pricestocks. He emphasizeunrstanng a firm’s governanstructure, management quality, business mol/competitive lancape, anenvironmental, social, angovernan(ESG)-relateattributes. The portfolio generally helless th60 stocks, significantly less ththe number of stocks in the benchmark anthe portfolio wnot well versifie”termine, basesolely on the memo’s content, whether the former manager’s portfolio woulmost likely characterizehaving high or low:i. Active riskii. Active ShareJustify earesponse. 因为Risk exposure is concentratebecause the investor using GARP appraoch, thus the active share is high.

2024-07-07 20:56 1 · 回答

NO.PZ2023010903000066 问题如下 Before hiring Välimathe Missipina Fountion’s portfolio hbeen manageinternally.Välimreviews a memo from Missipina’s investment committee thsummarizes the previous internmanager’s approato portfolio construction:“The manager usea growth a reasonable pri(GARP) investment approato intify attractively pricestocks. He emphasizeunrstanng a firm’s governanstructure, management quality, business mol/competitive lancape, anenvironmental, social, angovernan(ESG)-relateattributes. The portfolio generally helless th60 stocks, significantly less ththe number of stocks in the benchmark anthe portfolio wnot well versifie”termine, basesolely on the memo’s content, the previous manager’s two approaches to portfolio construction (bottom-up or top-wn / systematic or scretionary). Justify earesponse.termine, basesolely on the memo’s content, whether the former manager’s portfolio woulmost likely characterizehaving high or low:i. Active riskii. Active ShareJustify earesponse. 本题active rik高低,是只看active share 高就可以了吧?只给了分散化不高,不能判断出和benchmark的相关性这一方面吧?

2024-01-21 19:29 1 · 回答

NO.PZ2023010903000066 问题如下 Before hiring Välimathe Missipina Fountion’s portfolio hbeen manageinternally.Välimreviews a memo from Missipina’s investment committee thsummarizes the previous internmanager’s approato portfolio construction:“The manager usea growth a reasonable pri(GARP) investment approato intify attractively pricestocks. He emphasizeunrstanng a firm’s governanstructure, management quality, business mol/competitive lancape, anenvironmental, social, angovernan(ESG)-relateattributes. The portfolio generally helless th60 stocks, significantly less ththe number of stocks in the benchmark anthe portfolio wnot well versifie”termine, basesolely on the memo’s content, the previous manager’s two approaches to portfolio construction (bottom-up or top-wn / systematic or scretionary). Justify earesponse.termine, basesolely on the memo’s content, whether the former manager’s portfolio woulmost likely characterizehaving high or low:i. Active riskii. Active ShareJustify earesponse. 在Active Shares的解析那里,不应该是越不像benchmark,越concentrate,相关性越低吗?怎么读起来像是反的?

2024-01-03 01:13 1 · 回答

NO.PZ2023010903000066 问题如下 Before hiring Välimathe Missipina Fountion’s portfolio hbeen manageinternally.Välimreviews a memo from Missipina’s investment committee thsummarizes the previous internmanager’s approato portfolio construction:“The manager usea growth a reasonable pri(GARP) investment approato intify attractively pricestocks. He emphasizeunrstanng a firm’s governanstructure, management quality, business mol/competitive lancape, anenvironmental, social, angovernan(ESG)-relateattributes. The portfolio generally helless th60 stocks, significantly less ththe number of stocks in the benchmark anthe portfolio wnot well versifie”termine, basesolely on the memo’s content, the previous manager’s two approaches to portfolio construction (bottom-up or top-wn / systematic or scretionary). Justify earesponse.termine, basesolely on the memo’s content, whether the former manager’s portfolio woulmost likely characterizehaving high or low:i. Active riskii. Active ShareJustify earesponse. 所以是不是说明他的目的不是为了用少量的股票去模拟benchmark的表现,而是调好的去买,然后创造更高的收益,所以return的表现和benchmark肯定有比较大的不同,所以active risk会比较高这样更好呢

2023-08-09 22:38 1 · 回答